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| "_get_bar_tick_indices", | |
| "_make_bar_type_grouper", | |
| "calculate_ticks_per_period", | |
| "make_bars" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.datasets": { | |
| "functions": [], | |
| "classes": [] | |
| }, | |
| "afml.datasets.load_datasets": { | |
| "functions": [ | |
| "load_dollar_bar_sample", | |
| "load_stock_prices", | |
| "load_tick_sample" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.features": { | |
| "functions": [], | |
| "classes": [] | |
| }, | |
| "afml.features.advanced_features": { | |
| "functions": [ | |
| "build_advanced_features" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.features.fracdiff": { | |
| "functions": [ | |
| "adf_data", | |
| "frac_diff", | |
| "frac_diff_ffd", | |
| "fracdiff_optimal", | |
| "plot_ffd_vs_data", | |
| "plot_min_ffd" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.features.fractals": { | |
| "functions": [ | |
| "calculate_basic_fractals", | |
| "calculate_enhanced_fractals", | |
| "calculate_fractal_levels", | |
| "calculate_fractal_trend_features", | |
| "comprehensive_fractal_analysis", | |
| "generate_fractal_signals", | |
| "get_fractal_features" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.features.meta_labeling_features": { | |
| "functions": [ | |
| "add_meta_label_features", | |
| "calculate_market_regime_features", | |
| "calculate_rolling_metrics" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.features.moving_averages": { | |
| "functions": [ | |
| "calculate_ma_differences", | |
| "get_ma_crossovers" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.features.returns": { | |
| "functions": [ | |
| "get_lagged_returns", | |
| "get_period_autocorr", | |
| "get_period_returns", | |
| "get_return_dist_features" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.features.stationary": { | |
| "functions": [ | |
| "is_stationary" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.features.trading_session": { | |
| "functions": [ | |
| "encode_cyclical_features", | |
| "get_time_features", | |
| "trading_session_encoded_features" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.features.volatility_regime": { | |
| "functions": [ | |
| "combine_regime_features", | |
| "create_regime_duration_features", | |
| "identify_structural_breaks", | |
| "plot_structural_breaks" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.filters": { | |
| "functions": [], | |
| "classes": [] | |
| }, | |
| "afml.filters.filters": { | |
| "functions": [ | |
| "cusum_filter", | |
| "z_score_filter" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.labeling": { | |
| "functions": [], | |
| "classes": [] | |
| }, | |
| "afml.labeling.fixed_time_horizon": { | |
| "functions": [ | |
| "fixed_time_horizon" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.labeling.trend_scanning": { | |
| "functions": [ | |
| "plot_event_tvalues", | |
| "plot_trend_labels", | |
| "t_val_linreg", | |
| "trend_scanning_labels" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.labeling.triple_barrier": { | |
| "functions": [ | |
| "add_vertical_barrier", | |
| "apply_pt_sl_on_t1_optimized", | |
| "drop_labels", | |
| "get_bins", | |
| "get_event_weights", | |
| "get_events", | |
| "triple_barrier_labels" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.mt5": { | |
| "functions": [], | |
| "classes": [] | |
| }, | |
| "afml.mt5.clean_data": { | |
| "functions": [ | |
| "clean_tick_data", | |
| "save_cleaned_data_parquet" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.mt5.load_data": { | |
| "functions": [ | |
| "get_bars", | |
| "get_credentials_from_env", | |
| "get_ticks", | |
| "load_tick_data", | |
| "login_mt5", | |
| "process_symbol", | |
| "save_data_to_parquet", | |
| "verify_or_create_account_info" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.mt5.tick_data_loader": { | |
| "functions": [], | |
| "classes": [ | |
| "TickDataLoader" | |
| ] | |
| }, | |
| "afml.numba_warmup": { | |
| "functions": [ | |
| "_default_dummy_for_dispatcher", | |
| "_iter_modules_in_package", | |
| "lazy_warmup", | |
| "prewarm_numba_in_package", | |
| "register_numba_dummy" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.production": { | |
| "functions": [ | |
| "__getattr__" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.production.dual_model_development": { | |
| "functions": [ | |
| "main", | |
| "train_bidask_longshort_models" | |
| ], | |
| "classes": [ | |
| "BidAskLongShortPipeline" | |
| ] | |
| }, | |
| "afml.production.model_development": { | |
| "functions": [ | |
| "_coerce_pipeline_kwargs", | |
| "_default_target_config", | |
| "best_weighting_scheme", | |
| "calculate_rolling_metrics", | |
| "compare_runs", | |
| "create_feature_engineering_pipeline", | |
| "develop_production_model", | |
| "develop_production_model_with_enhanced_logging", | |
| "generate_events_triple_barrier", | |
| "get_bar_size", | |
| "get_model_type", | |
| "get_optimal_sample_weight", | |
| "is_tree", | |
| "load_and_prepare_training_data", | |
| "load_ticks", | |
| "train_model_with_cv", | |
| "weighted_estimator" | |
| ], | |
| "classes": [ | |
| "LogAnalyzer", | |
| "LoggingModelDevelopmentPipeline", | |
| "ModelDevelopmentLogger", | |
| "ModelDevelopmentPipeline", | |
| "PipelineMonitor", | |
| "ProductionReadinessChecker", | |
| "_WeightedEstimator" | |
| ] | |
| }, | |
| "afml.production.model_development_optuna": { | |
| "functions": [ | |
| "get_model_type" | |
| ], | |
| "classes": [ | |
| "ModelDevelopmentPipelineOptuna" | |
| ] | |
| }, | |
| "afml.production.model_export": { | |
| "functions": [ | |
| "complete_export_workflow", | |
| "export_model_to_onnx", | |
| "extract_onnx_metadata", | |
| "validate_onnx_predictions" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.production.optimization_framework": { | |
| "functions": [ | |
| "print_optimization_insights" | |
| ], | |
| "classes": [ | |
| "ParameterOptimizer", | |
| "StrategyConfig" | |
| ] | |
| }, | |
| "afml.production.parameter_grid_search": { | |
| "functions": [], | |
| "classes": [ | |
| "MultiConfigPipeline", | |
| "ParameterGridSearch" | |
| ] | |
| }, | |
| "afml.production.utils": { | |
| "functions": [], | |
| "classes": [ | |
| "ConfigPathGenerator", | |
| "ModelFileManager" | |
| ] | |
| }, | |
| "afml.sample_weights": { | |
| "functions": [], | |
| "classes": [] | |
| }, | |
| "afml.sample_weights.attribution": { | |
| "functions": [ | |
| "_apply_weight_by_return", | |
| "get_weights_by_return", | |
| "get_weights_by_time_decay" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.sample_weights.optimized_attribution": { | |
| "functions": [ | |
| "_apply_weight_by_return_optimized", | |
| "get_weights_by_return_optimized", | |
| "get_weights_by_time_decay_optimized" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.sampling": { | |
| "functions": [], | |
| "classes": [] | |
| }, | |
| "afml.sampling.bootstrapping": { | |
| "functions": [ | |
| "get_active_indices", | |
| "get_ind_mat_average_uniqueness", | |
| "get_ind_matrix", | |
| "pack_active_indices", | |
| "seq_bootstrap" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.sampling.concurrent": { | |
| "functions": [ | |
| "_get_average_uniqueness", | |
| "get_av_uniqueness_from_triple_barrier", | |
| "get_num_conc_events", | |
| "num_concurrent_events" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.sampling.optimized_concurrent": { | |
| "functions": [ | |
| "_get_average_uniqueness_optimized", | |
| "get_av_uniqueness_from_triple_barrier_optimized", | |
| "get_num_conc_events_optimized" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.strategies": { | |
| "functions": [], | |
| "classes": [] | |
| }, | |
| "afml.strategies.bollinger_features": { | |
| "functions": [ | |
| "create_bollinger_features", | |
| "plot_bbands", | |
| "plot_bbands_dual_bbp_bw" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.strategies.genetic_optimizer": { | |
| "functions": [ | |
| "calculate_performance_metrics", | |
| "get_dynamic_seed", | |
| "get_optimal_triple_barrier_labels", | |
| "get_positions_from_events", | |
| "save_optimization_results", | |
| "select_knee_point" | |
| ], | |
| "classes": [ | |
| "GAOptimal", | |
| "OptimizationConfig", | |
| "ParetoOptimizer", | |
| "SingleObjectiveOptimizer", | |
| "TripleBarrierEvaluator" | |
| ] | |
| }, | |
| "afml.strategies.ma_crossover_feature_engine": { | |
| "functions": [], | |
| "classes": [ | |
| "ForexFeatureEngine" | |
| ] | |
| }, | |
| "afml.strategies.ma_whipsaw_ratio": { | |
| "functions": [ | |
| "calculate_enhanced_whipsaw_metrics", | |
| "calculate_ma_whipsaw_ratio" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.strategies.signal_processing": { | |
| "functions": [ | |
| "get_entries" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.strategies.strategy_optimizer": { | |
| "functions": [ | |
| "create_example_test_suite", | |
| "optimize_strategy_barriers" | |
| ], | |
| "classes": [ | |
| "BarrierOptimizationResult", | |
| "GeometricBrownianMotion", | |
| "IntegratedTestResult", | |
| "OrnsteinUhlenbeck", | |
| "ProcessSelector", | |
| "StrategyTestFramework" | |
| ] | |
| }, | |
| "afml.strategies.trading_strategies": { | |
| "functions": [], | |
| "classes": [ | |
| "BaseStrategy", | |
| "BollingerStrategy", | |
| "MACrossoverStrategy" | |
| ] | |
| }, | |
| "afml.strategies.trend_scanning_optimizer": { | |
| "functions": [], | |
| "classes": [ | |
| "TrendScanningEvaluator" | |
| ] | |
| }, | |
| "afml.strategies.trend_scanning_optimizer_1": { | |
| "functions": [], | |
| "classes": [ | |
| "TrendScanningEvaluator" | |
| ] | |
| }, | |
| "afml.util": { | |
| "functions": [], | |
| "classes": [] | |
| }, | |
| "afml.util.constants": { | |
| "functions": [], | |
| "classes": [] | |
| }, | |
| "afml.util.fix_mlfinlab_imports": { | |
| "functions": [ | |
| "replace_imports_in_folder" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.util.misc": { | |
| "functions": [ | |
| "count_max_decimals", | |
| "crop_data_frame_in_batches", | |
| "date_conversion", | |
| "dict_to_key", | |
| "expand_params", | |
| "flatten_column_names", | |
| "get_folder_size", | |
| "indices_to_mask", | |
| "is_first_weekday", | |
| "is_last_weekday", | |
| "is_trading_day", | |
| "log_column_changes", | |
| "log_df_info", | |
| "log_performance", | |
| "markdown_to_notebook", | |
| "optimize_dtypes", | |
| "set_resampling_freq", | |
| "smart_subscript", | |
| "to_subscript", | |
| "value_counts_data" | |
| ], | |
| "classes": [ | |
| "DataFrameFormatter" | |
| ] | |
| }, | |
| "afml.util.multiprocess": { | |
| "functions": [ | |
| "expand_call", | |
| "lin_parts", | |
| "mp_pandas_obj", | |
| "nested_parts", | |
| "process_jobs", | |
| "process_jobs_", | |
| "report_progress" | |
| ], | |
| "classes": [] | |
| }, | |
| "afml.util.pipelines": { | |
| "functions": [ | |
| "make_custom_pipeline", | |
| "set_pipeline_params" | |
| ], | |
| "classes": [ | |
| "MyPipeline" | |
| ] | |
| }, | |
| "afml.util.test": { | |
| "functions": [], | |
| "classes": [] | |
| }, | |
| "afml.util.volatility": { | |
| "functions": [ | |
| "get_daily_vol", | |
| "get_garman_klass_vol", | |
| "get_parkinson_vol", | |
| "get_period_vol", | |
| "get_yang_zhang_vol", | |
| "two_time_scale_realized_vol" | |
| ], | |
| "classes": [] | |
| } | |
| }, | |
| "smoke_results": [ | |
| { | |
| "name": "datasets.load_samples", | |
| "status": "pass", | |
| "output": { | |
| "tick": [ | |
| 100, | |
| 2 | |
| ], | |
| "stock": [ | |
| 2141, | |
| 23 | |
| ], | |
| "dollar": [ | |
| 1000, | |
| 7 | |
| ] | |
| } | |
| }, | |
| { | |
| "name": "data_structures.make_bars", | |
| "status": "pass", | |
| "output": { | |
| "tick_bars": [ | |
| 5, | |
| 9 | |
| ], | |
| "time_bars": [ | |
| 3, | |
| 9 | |
| ] | |
| } | |
| }, | |
| { | |
| "name": "features.core", | |
| "status": "pass", | |
| "output": { | |
| "lagged": [ | |
| 400, | |
| 9 | |
| ], | |
| "dist": [ | |
| 400, | |
| 3 | |
| ], | |
| "time_features": [ | |
| 400, | |
| 20 | |
| ], | |
| "frac_diff": [ | |
| 357 | |
| ], | |
| "is_stationary": [] | |
| } | |
| }, | |
| { | |
| "name": "filters.core", | |
| "status": "pass", | |
| "output": { | |
| "cusum_events": 154, | |
| "z_score_events": 0 | |
| } | |
| }, | |
| { | |
| "name": "labeling.core", | |
| "status": "pass", | |
| "output": { | |
| "triple_events": [ | |
| 30, | |
| 4 | |
| ], | |
| "fixed": [ | |
| 500 | |
| ], | |
| "trend": [ | |
| 481, | |
| 7 | |
| ] | |
| } | |
| }, | |
| { | |
| "name": "sampling.sample_weights", | |
| "status": "pass", | |
| "output": { | |
| "concurrent": [ | |
| 15 | |
| ], | |
| "weights": [ | |
| 10 | |
| ] | |
| } | |
| }, | |
| { | |
| "name": "cross_validation.core", | |
| "status": "pass", | |
| "output": { | |
| "splits": 3, | |
| "train_times": [ | |
| 53 | |
| ], | |
| "pbo": 1.0 | |
| } | |
| }, | |
| { | |
| "name": "strategies.basic", | |
| "status": "pass", | |
| "output": { | |
| "bollinger_signals": { | |
| "0": 262, | |
| "1": 23, | |
| "-1": 15 | |
| }, | |
| "ma_signals": { | |
| "-1": 148, | |
| "1": 123, | |
| "0": 29 | |
| } | |
| } | |
| }, | |
| { | |
| "name": "mt5.live_xau_btc_m5", | |
| "status": "pass", | |
| "output": { | |
| "XAUUSD": 390, | |
| "BTCUSD": 864 | |
| } | |
| } | |
| ] | |
| } |